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3540 Research Articles

Turn-of-the-Month Effect Applied to SSO

Referring to “Turn-of-the-Month Effect Persistence and Robustness”, a subscriber asked about applying the Turn-of-the-Month (TOTM) effect to ProShares Ultra S&P500 (SSO). As in the referenced research, we define TOTM as the interval from the close five trading days before to the close four trading days after the last trading day of the month (a total… Keep Reading

Expert Estimates of 2024 Country Equity Risk Premiums and Risk-free Rates

What are current estimates of equity risk premiums (ERP) and risk-free rates around the world? In their March 2024 paper entitled “Survey: Market Risk Premium and Risk-Free Rate used for 96 countries in 2024”, Pablo Fernandez, Diego García de la Garza and Javier Acin summarize results of a February 2024 email survey of international finance… Keep Reading

Live Test of the Stock Market Overnight Move Effect (Final)

Is the stock market overnight move effect exploitable? To investigate, we look at performances of two exchange-traded funds (ETF) designed to exploit the effect: NightShares 500 ETF (NSPY), which “seeks to return the night performance of a portfolio of 500 large cap U.S. companies.” The benchmark is SPDR S&P 500 ETF Trust (SPY). NightShares 2000… Keep Reading

The Greenium

How much do investors gain or sacrifice by focusing their portfolios on “sustainable” (green) stocks? In their March 2024 paper entitled “In Search of the True Greenium”, Marc Eskildsen, Markus Ibert, Theis Jensen and Lasse Pedersen broadly examine the green-minus-brown premium (the greenium). Specifically, they: Replicate and extend past studies to estimate the U.S. equity… Keep Reading

Weekly Summary of Research Findings: 4/15/24 – 4/19/24

Below is a weekly summary of our research findings for 4/15/24 through 4/19/24. These summaries give you a quick snapshot of our content the past week so that you can quickly decide what’s relevant to your investing needs. Subscribers: To receive these weekly digests via email, click here to sign up for our mailing list.

Informativeness of Seeking Alpha Articles for Stock Returns

Are sentiments conveyed in Seeking Alpha articles useful for stock picking? In their January 2023 paper entitled “Seeking Alpha: More Sophisticated Than Meets the Eye”, Duo Selina Pei, Abhinav Anand and Xing Huan apply two-pass natural language processing to test the informativeness of articles from Seeking Alpha incremental to publicly available earnings data. Specifically, they… Keep Reading

Bitcoin Economics

What are the implications of mainstream economics for bitcoin? In his March 2024 paper entitled “Bitcoin: What Does Mainstream Economics Have to Say?”, Joshua Hendrickson tackles the following questions: Why does money exist and what role does it play in society? How does bitcoin fit our understanding of this role? What is bitcoin worth? Is… Keep Reading

“Sell in May” Update

How has the simple Sell in May strategy worked in the modern U.S. equity market, defined as the time since introduction of SPDR S&P 500 ETF Trust (SPY)? To investigate, we: Calculate 6-month SPY returns from the ends of April and October. Find yields for 6-month U.S. Treasury bills (T-bills) at the end of each… Keep Reading

Measuring the Value Premium with Value and Growth ETFs

Do popular style-based exchange-traded funds (ETF) offer a reliable way to exploit the value premium? To investigate, we compare differences in returns (value-minus-growth, or V – G) for each of the following three matched pairs of value-growth ETFs: iShares Russell 2000 (Smallcap) Growth Index (IWO) iShares Russell 2000 (Smallcap) Value Index (IWN) iShares Russell Midcap… Keep Reading

Alternative Proxy for Small Stocks in Measuring the Size Effect

In response to “Measuring the Size Effect with Capitalization-based ETFs” and in view of the research summarized in “Quality-enhanced Size Effect”, a subscriber suggested using either iShares Core S&P Small-Cap ETF (IJR) or Vanguard S&P Small-Cap 600 Index Fund (VIOO) in place of iShares Russell 2000 ETF (IWM) as a proxy for small stocks. The… Keep Reading